consider stocks with the following statistics: return and volatility asset a b c d expected return 8% 15% 6% 9% volatility 21% 36% 22% 27% correlation matrix asset a b c d a 1 0.7 -0.02 -0.2 b 0.7 1 0.2 -0.06 c -0.02 0.2 1 0.6 d -0.2 -0.06 0.6 1 if the risk-free rate is 1%, what is the shape ratio of the optimal risky portfolio? please round your answer to 2 decimal places.

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04-11-2022
Business

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consider stocks with the following statistics: return and volatility asset a b c d expected return 8% 15% 6% 9% volatility 21% 36% 22% 27% correlation matrix asset a b c d a 1 0.7 -0.02 -0.2 b 0.7 1 0.2 -0.06 c -0.02 0.2 1 0.6 d -0.2 -0.06 0.6 1 if the risk-free rate is 1%, what is the shape ratio of the optimal risky portfolio? please round your answer to 2 decimal places.

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